Catastrophe Insurance Products in Markov Jump Diffusion Models
... directing process is a homogeneous Poisson and thus derive the option pricing formula as a risk-neutral Poisson sum of Black's prices. The extent of the usefulness of this pricing equation is determined only by a careful empirical evaluation using market data. Unfortunately, this approach is today i ...
... directing process is a homogeneous Poisson and thus derive the option pricing formula as a risk-neutral Poisson sum of Black's prices. The extent of the usefulness of this pricing equation is determined only by a careful empirical evaluation using market data. Unfortunately, this approach is today i ...
The Tax Treatment of Contingent Options
... 1. The deferral rule. The seminal case dealing with the timing of the inclusion of option premiums is Virginia Iron Coal & Coke Co. v Commissioner./12/ There, the taxpayer in 1930 granted an option to acquire for a specified price all of the stock of its subsidiary or all of the assets of that subsi ...
... 1. The deferral rule. The seminal case dealing with the timing of the inclusion of option premiums is Virginia Iron Coal & Coke Co. v Commissioner./12/ There, the taxpayer in 1930 granted an option to acquire for a specified price all of the stock of its subsidiary or all of the assets of that subsi ...
The Information Content of Options Trading
... and all options maturity days from January 2002 to December 2005. One of the unique features of our dataset is that each transaction record can be identified for different investor classes,4 which enables us to classify the associated transaction volume into four main investor classes comprising of ...
... and all options maturity days from January 2002 to December 2005. One of the unique features of our dataset is that each transaction record can be identified for different investor classes,4 which enables us to classify the associated transaction volume into four main investor classes comprising of ...
Methods of Loan Guarantee Valuation and Accounting
... put option. A put option gives the owner the right, but not the obligation, to sell an asset for a pre-specified price (the exercise price) on or before a certain maturity date. A guarantee is a put option on the assets of the firm with an exercise price equal to the face value of the debt. Consider ...
... put option. A put option gives the owner the right, but not the obligation, to sell an asset for a pre-specified price (the exercise price) on or before a certain maturity date. A guarantee is a put option on the assets of the firm with an exercise price equal to the face value of the debt. Consider ...
New risks. New insights.
... Risk. It comes in many forms. To some, it’s volatility of returns. To others, it’s simply losing money — either ...
... Risk. It comes in many forms. To some, it’s volatility of returns. To others, it’s simply losing money — either ...
When do Investors Exhibit Stronger Behavioral Biases?
... (2003), I use trading correlation as a proxy for other behavioral biases such as limited attention and representativeness.6 I find that trading correlations are higher within the subset of stocks which are more difficult to value. This indicates that, in addition to overconfidence and the disposition eff ...
... (2003), I use trading correlation as a proxy for other behavioral biases such as limited attention and representativeness.6 I find that trading correlations are higher within the subset of stocks which are more difficult to value. This indicates that, in addition to overconfidence and the disposition eff ...
Calculating Agricultural Use Values for Missouri
... noted that agricultural income is a major source for farmland use value rather than market value. The problems of many of these early studies led researchers to adopt financial economics in explaining farmland values. Even though many theories of asset price determination have been applied to farmla ...
... noted that agricultural income is a major source for farmland use value rather than market value. The problems of many of these early studies led researchers to adopt financial economics in explaining farmland values. Even though many theories of asset price determination have been applied to farmla ...
Market Timing and the Debt-Equity Choice.
... available to the market at the time of issuance. There are three potential explanations for the perfect foresight model producing a valuation different from the current stock price. First, we cannot rule out the possibility of a misspecified model, and that the model merely produces a noisy estimat ...
... available to the market at the time of issuance. There are three potential explanations for the perfect foresight model producing a valuation different from the current stock price. First, we cannot rule out the possibility of a misspecified model, and that the model merely produces a noisy estimat ...
No. 548 Modeling and predicting the CBOE market volatility index
... (1985, Appendix 8A) ameliorate the procedure by employing multiple call options on each stock and by weighting the volatilities in such a fashion that the index is at money with a constant time to expiration. The CBOE volatility indices capture the spirit of these earlier efforts, extending the noti ...
... (1985, Appendix 8A) ameliorate the procedure by employing multiple call options on each stock and by weighting the volatilities in such a fashion that the index is at money with a constant time to expiration. The CBOE volatility indices capture the spirit of these earlier efforts, extending the noti ...
Investment Analysis and Portfolio Management
... Willingness. The Maclins have a below-average willingness to take risk, based on their unhappiness with the portfolio volatility they have experienced in recent years and their desire not to experience a loss in portfolio value in excess of 12 percent in any one year. Ability. The Maclins have an av ...
... Willingness. The Maclins have a below-average willingness to take risk, based on their unhappiness with the portfolio volatility they have experienced in recent years and their desire not to experience a loss in portfolio value in excess of 12 percent in any one year. Ability. The Maclins have an av ...
The Impact of Derivatives on Cash Markets: What Have We
... seasonal fluctuations. When speculators enter, they accelerate price movements by buying when prices are rising, and selling while prices are falling. The model captures the popular intuition that speculators are momentum traders. By modern standards, Baumol’s (1957) model seems awkward—there is no ...
... seasonal fluctuations. When speculators enter, they accelerate price movements by buying when prices are rising, and selling while prices are falling. The model captures the popular intuition that speculators are momentum traders. By modern standards, Baumol’s (1957) model seems awkward—there is no ...
A NON-ZERO-SUM GAME APPROACH TO CONVERTIBLE BONDS
... 2.2 Debt Structure and Endogenous Default Now, suppose that the company raises funds by issuing a single perpetual convertible bond and it will not change this capital structure until the moment of call, default, or voluntary conversion. Assume that the selection of capital structure has no impact o ...
... 2.2 Debt Structure and Endogenous Default Now, suppose that the company raises funds by issuing a single perpetual convertible bond and it will not change this capital structure until the moment of call, default, or voluntary conversion. Assume that the selection of capital structure has no impact o ...
Alpha Dynamics_Evaluating the Activeness of Equity Portfolios.indd
... The continuing evolution of risk management practices and tools in the investment management industry has led to an increased focus by many on tracking error as a key risk metric. The use of tracking error has become a standard industry norm to assess the degree of active management employed by inve ...
... The continuing evolution of risk management practices and tools in the investment management industry has led to an increased focus by many on tracking error as a key risk metric. The use of tracking error has become a standard industry norm to assess the degree of active management employed by inve ...
The Leverage Rotation Strategy
... Leverage aversion is understandable given these traumatic events, but it is not “rational” as Finance theory assumes. In theory, when presented with the option to construct an unleveraged portfolio or a leveraged one, mean-variance optimization views the two as equal so long as the expected return a ...
... Leverage aversion is understandable given these traumatic events, but it is not “rational” as Finance theory assumes. In theory, when presented with the option to construct an unleveraged portfolio or a leveraged one, mean-variance optimization views the two as equal so long as the expected return a ...
`surrender charge` on international units in the Australian ETS
... recover by 2015, it is clear that the potential for international units to be cheaper than the floor price is not a mere theoretical concern. Figure 1, which is a development of Figure 4 in Hepburn et. al. (2006), describes the situation when the supply curve for international units lies below the a ...
... recover by 2015, it is clear that the potential for international units to be cheaper than the floor price is not a mere theoretical concern. Figure 1, which is a development of Figure 4 in Hepburn et. al. (2006), describes the situation when the supply curve for international units lies below the a ...
FL High Yield Distribution AL
... of sectors. These funds can be more volatile and carry higher risk due to their lack of diversification. G - Derivatives: Where a fund uses derivatives for investment purposes, there may be an increase in the risk and volatility of the fund. Some derivative investments also expose investors to count ...
... of sectors. These funds can be more volatile and carry higher risk due to their lack of diversification. G - Derivatives: Where a fund uses derivatives for investment purposes, there may be an increase in the risk and volatility of the fund. Some derivative investments also expose investors to count ...
The Impact of Fair Value Measurement on Financial Instrument of
... sometimes referred to as “exit values”. When fair value is not available due to lack of an actual transaction, it is logical to use information from an active market. An active market is a market in which securities as a whole are trading at a high volume. He stated further that, sometimes, quoted p ...
... sometimes referred to as “exit values”. When fair value is not available due to lack of an actual transaction, it is logical to use information from an active market. An active market is a market in which securities as a whole are trading at a high volume. He stated further that, sometimes, quoted p ...
CHAPTER 10 Capital assets
... During an asset’s life, its usefulness may decline because of usage or obsolescence. Amortization is the process of allocating to expense the cost of a capital asset over its useful life. Amortization is designed to match expenses with revenues in accordance with the matching principle. Recognition ...
... During an asset’s life, its usefulness may decline because of usage or obsolescence. Amortization is the process of allocating to expense the cost of a capital asset over its useful life. Amortization is designed to match expenses with revenues in accordance with the matching principle. Recognition ...